Why is Long - Horizon Equity Less Risky ? A Duration - Based Explanation of The Value Premium  

Oleh:

Lettau, Martin ; Wachter, Jessica A.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 1 (Feb. 2007), page 55-92.
Topik: VALUES; CAPM; risk premiums; cash flow; equity; models; securities markets; studies
Fulltext: p 55.pdf (282.5KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

We propose a dynamic risk - based model that captures the value premium. Firms are modeled as long - lived assets distinguished by the timing of cash flows. The stochastic discount factor is specified so that shocks to aggregate dividends are priced, but shocks to the discount rate are not. The model implies that growth firms covary more with the discount rate than do value firms, which covary more with cash flows. When calibrated to explain aggregate stock market behaviour, the model accounts for the observed value premium, the high Sharpe ratios on value firms, and the poor performance of the CAPM.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali